2026-07-072026-07-07http://salesiana.dossiersoluciones.com/handle/123456789/208927In this paper a multi-factor generalization of Ho-Lee model is proposed. In sharp contrast to the classical Ho-Lee, this generalization allows for those movements other than parallel shifts, while it still is described by a recombining tree, and is stationary to be compatible with principal component analysis. Based on the model, generalizations of duration-based hedging are proposed. A continuous-time limit of the model is also discussed.34 pages, 3 figuresProbabilityPricing of Securities91B28; 60G50text